Frequency Analysis based on Monthly Comb
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Even a casual examination of historical price lines seems to reveal cycles or regular short term fluctuations that continue repeating. Through the years, technicians have expended much effort to measure and exploit these cycles. It would appear simple enough to do a frequency analysis on the time series. But the cycles or periods that seem so easy to see in the price data, have proven to be surprisingly difficult to measure by classical methods. The classical methods apply to stationary cycles of exactly regular period. We can easily remove the trends from historical price data to make the series stationary. However, attempts to exploit the market cycles are foiled by the deviation from strictly periodic behavior required by ordinary analysis. One factor in the behaviour of market fluctuations is "Anticipation". When speculators detect a cycle in prices, they will buy earlier before the peak, and sell earlier before the dip. This phenomena causes an increase in frequency, and eventually a breakup of the established cycle. Traditional frequency analysis methods such as the Fourier Transform, break down badly attempting to deal with these irregularities. Wilder estimated that there was an important period of about 28 trading sessions. The half cycle of this period (14 sessions) is a default factor in many of the technical indicators. We have found this to be a reasonable figure, even in today's markets, but there is significant variation between issues. Some companies just seem to have faster or slower cycles for one reason or another, and the indicators may be more accurate when fitted to the situation. The paradoxical condition of variable length periods forces the adoptation of some new forms of analysis. |
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Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 28.00
Sawtooth = 47.57
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 17.09 | 30.00 | 40.00 | 12.06 % | | Low | 17.20 | 32.00 | 24.00 | 10.43 % |
| Recent High | Price | Recent Low | Price | Cycle | | Monday, October 18, 2010 | 17.62 | | | 48 | | | Monday, October 04, 2010 | 16.73 | 28 | | | Tuesday, August 24, 2010 | 15.66 | 36 | | Tuesday, August 10, 2010 | 16.40 | | | 39 | | | Friday, July 02, 2010 | 13.84 | 19 | | Tuesday, June 15, 2010 | 15.19 | | | 28 | | | Monday, June 07, 2010 | 14.21 | 28 | | Wednesday, May 05, 2010 | 16.82 | | | 29 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 15 | 0.50 | | 20 | 0.38 | | 18 | 0.34 | | 25 | 0.26 | | 31 | 0.23 | | 29 | 0.21 | | 35 | 0.18 | | 41 | 0.18 | | 37 | 0.12 | | 46 | 0.12 | | 85 | 0.11 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 91.00
Sawtooth = 48.20
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 46.58 | 99.00 | 40.00 | 19.22 % | | Low | 43.65 | 91.00 | 36.00 | 20.04 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Friday, July 02, 2010 | 13.84 | 338 | | Tuesday, January 19, 2010 | 19.19 | | | 171 | | Thursday, May 14, 2009 | 14.44 | | | 91 | | | Monday, March 02, 2009 | 10.85 | 67 | | Friday, January 02, 2009 | 16.64 | | | 96 | | | Thursday, November 20, 2008 | 13.16 | 103 | | Friday, August 15, 2008 | 17.87 | | | 173 | | | Thursday, June 26, 2008 | 15.12 | 147 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 14 | 0.24 | | 19 | 0.20 | | 17 | 0.18 | | 164 | 0.16 | | 24 | 0.14 | | 293 | 0.14 | | 171 | 0.13 | | 82 | 0.13 | | 158 | 0.13 | | 22 | 0.13 | | 41 | 0.12 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 44.60
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 0.00 | 0.00 | 0.00 | 0.00 % | | Low | 0.00 | 0.00 | 0.00 | 0.00 % |
| Recent High | Price | Recent Low | Price | Cycle | | Tuesday, January 19, 2010 | 19.19 | | | 663 | | | Monday, March 02, 2009 | 10.85 | 660 | | Friday, June 01, 2007 | 23.09 | | | 174 | | | Monday, July 17, 2006 | 17.97 | 149 | | Wednesday, September 20, 2006 | 23.04 | | | 332 | | | Friday, December 09, 2005 | 16.21 | 217 | | Thursday, May 26, 2005 | 22.38 | | | 328 | | | Tuesday, February 01, 2005 | 18.22 | 638 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 683 | 1.96 | | 819 | 1.36 | | 585 | 1.07 | | 410 | 0.85 | | 512 | 0.81 | | 315 | 0.74 | | 12 | 0.73 | | 14 | 0.66 | | 164 | 0.61 | | 195 | 0.56 | | 20 | 0.51 |
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| Breaking News: In the news, Monday, November 15, 2010: A favorable condition has developed with Sprint Nextel Corporation, ticker symbol S. Also, there are breaking events concerning Abbott Laboratories (ABT) and Cree, Inc. (CREE)
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| PFE
Pfizer
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Average Sawtooth based on Monthly Combo
| PFE
Pfizer
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Average Sawtooth based on Bi-weekly Combo
A comparison of the average distance (in time) from each periodic high to to next periodic low, against the distance to the following high point, yields the Sawtooth Statistic. The mid-point, corresponding to a perfect sine wave, is 50 percent. Values less than this indicate the sell slope is steeper than the buy slope, while values over 50 percent show the opposite. This is supposed to indicate the degree of fear or greed. The chart represents the sawtooth percentage of (approximately) monthly cycles over the past year, and of the (approximately) bi-weekly cycles, averaged over the past six months.
| . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25 | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 0 instances | | | | Sell Signals - 7 instances | | Future30SesAvgClose | 7.95 % minus 2.88 % = 5.07 % | 42.93 % | | Future5SesAvgClose | 6.22 % minus 0.62 % = 5.60 % | 284.44 % | | Future2SesAvgClose | 4.08 % minus 0.34 % = 3.74 % | 474.89 % | | . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle Crossing | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 44 instances | | | | Future30SesAvgClose | 1.81 % minus 2.88 % = -1.07 % | -9.08 % | | Future5SesAvgClose | -0.39 % minus 0.62 % = -1.02 % | -51.68 % | | Future2SesAvgClose | -0.36 % minus 0.34 % = -0.70 % | -88.88 % | | Sell Signals - 41 instances | | Future30SesAvgClose | 2.43 % minus 2.88 % = -0.44 % | -3.76 % | | Future5SesAvgClose | 1.62 % minus 0.62 % = 1.00 % | 50.67 % | | Future2SesAvgClose | 0.97 % minus 0.34 % = 0.63 % | 80.25 % | | . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30 | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 2 instances | | | | Future30SesAvgClose | 9.66 % minus 2.88 % = 6.78 % | 57.42 % | | Future5SesAvgClose | 2.66 % minus 0.62 % = 2.03 % | 103.27 % | | Future2SesAvgClose | 1.32 % minus 0.34 % = 0.98 % | 124.86 % | | Sell Signals - 9 instances | | Future30SesAvgClose | 5.18 % minus 2.88 % = 2.30 % | 19.49 % | | Future5SesAvgClose | 3.62 % minus 0.62 % = 3.00 % | 152.19 % | | Future2SesAvgClose | 2.67 % minus 0.34 % = 2.33 % | 296.45 % | | . | | | Projection of Representative Monthly Cycle | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 139 instances | | | | Future30SesAvgClose | 2.85 % minus 2.88 % = -0.03 % | -0.23 % | | Future5SesAvgClose | 0.94 % minus 0.62 % = 0.32 % | 16.28 % | | Future2SesAvgClose | 0.41 % minus 0.34 % = 0.07 % | 9.29 % | | Sell Signals - 155 instances | | Future30SesAvgClose | 1.89 % minus 2.88 % = -0.99 % | -8.34 % | | Future5SesAvgClose | 0.36 % minus 0.62 % = -0.26 % | -13.12 % | | Future2SesAvgClose | 0.20 % minus 0.34 % = -0.13 % | -17.11 % | | . | | | Projection of BiWeekly Modal Cycles | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 301 instances | | | | Future30SesAvgClose | 1.69 % minus 2.88 % = -1.19 % | -10.07 % | | Future5SesAvgClose | 0.14 % minus 0.62 % = -0.48 % | -24.55 % | | Future2SesAvgClose | 0.13 % minus 0.34 % = -0.21 % | -26.47 % | | Sell Signals - 278 instances | | Future30SesAvgClose | 1.70 % minus 2.88 % = -1.18 % | -9.96 % | | Future5SesAvgClose | 0.17 % minus 0.62 % = -0.45 % | -22.84 % | | Future2SesAvgClose | -0.05 % minus 0.34 % = -0.39 % | -49.11 % | | . | | | | |
| The best buy signal for 30 future sessions was 6.78 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30,and the best sell signal for was -1.18 % from the Projection of BiWeekly Modal Cycles. | | For 5 future sessions the best buy signal was 2.03 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30,and the best sell signal was -0.45 % from the Projection of BiWeekly Modal Cycles. | | The best buy signal for 2 future sessions was 0.98 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30,and the best sell signal was -0.39 % from the Projection of BiWeekly Modal Cycles. |
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